To use very small stones like the 2mm and 4mm you mention, I would first set them in snapsets and slide them onto either a 24g or 22g wire to use in whatever earring design you are working on. The gauge choice would depend on which size will best fit under the stone, within the snapset, according to the shape of the stone, how deep its pavilion is, and the style of the snapset you use. For example smaller, round snapsets will work more easily than some of those that are larger and square shaped, due to the way the setting is made. (I had a student come by this week with a gorgeous bracelet design he was having issues with because he was using 12mm x 14mm rectangular snapsets that were rather thick underneath, so he had to file down part of the metal at the base of the prongs to make room for 22g sq wire.)
When using a round 8mm stone, my students and I have had success both with wrapping it bare with 24g sq wire and in a snapset using 21g or 22g wire (again, in a snapset the wire size depends on what will fit through the snapset and under the stone without dislodging the stone). I also advise that you secure a snapset stone by wrapping a wire completely around the setting, just under the girdle, tying it into your design.
Answer contributed by Dale "Cougar" Armstrong